AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON SEPTEMBER 20, 2013

SECURITIES AND EXCHANGE
COMMISSION

Washington, D.C. 20549

FORM N-1A

REGISTRATION STATEMENT

UNDER

THE SECURITIES ACT OF 1933

x

Pre-Effective Amendment No.

¨

Post-Effective Amendment No. 14

x

REGISTRATION STATEMENT

UNDER

THE INVESTMENT COMPANY ACT OF
1940

x

Amendment No. 16

x

GMO SERIES TRUST

(Exact Name of Registrant as Specified in Charter)

40 Rowes
Wharf, Boston, Massachusetts 02110

(Address of principal executive offices)

617-330-7500

(Registrants telephone number, including area code)

with a
copy to:

J.B. Kittredge, Esq.

GMO Series Trust

40 Rowes Wharf

Boston, Massachusetts 02110

Thomas R. Hiller, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199

(Name and address of agents for service)

It is proposed that this filing will become effective:

x

Immediately upon filing pursuant to paragraph (b), or

¨

On , pursuant to paragraph (b), or

¨

60 days after filing pursuant to paragraph (a)(1), or

¨

75 days after filing pursuant to paragraph (a)(2), of Rule 485.

This filing relates only to the 19 series of the Registrant listed on the front cover of the GMO Series Trust Prospectus, dated August 31, 2013, and
filed with the Securities and Exchange Commission on August 30, 2013 with Post-Effective Amendment No. 13 under the Securities Act of 1933, as amended, and Amendment No. 15 under the Investment Company Act of 1940, as amended.

GMO SERIES TRUST

SIGNATURES

Pursuant to the requirements of the Securities Act of 1933 (the 1933 Act) and the Investment Company Act of 1940 (the 1940 Act), each as amended, the Registrant, GMO Series Trust,
certifies that it meets all of the requirements for effectiveness of this Registration Statement under Rule 485(b) under the 1933 Act and has duly caused this Post-Effective Amendment No. 14 under the 1933 Act and Amendment No. 16 under
the 1940 Act to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Boston and The Commonwealth of Massachusetts, on the 20th day of September, 2013.

GMO Series Trust

By:

J.B. KITTREDGE*

J.B. Kittredge

Title:

President; Chief Executive Officer;

Principal Executive Officer

Pursuant to the requirements of the 1933 Act, this Post-Effective Amendment No. 14 to GMO
Series Trusts Registration Statement under the 1933 Act has been signed below by the following persons in the capacities and on the date indicated.

Signatures

Title

Date

J.B. KITTREDGE*

J.B. Kittredge

Trustee; President; Chief Executive

Officer; Principal Executive Officer

September 20, 2013

SHEPPARD N. BURNETT*

Sheppard N. Burnett

Treasurer; Chief Financial Officer;

Principal Financial and Accounting Officer

September 20, 2013

MARIA D. FURMAN*

Maria D. Furman

Trustee

September 20, 2013

SANDRA WHISTON*

Sandra Whiston

Trustee

September 20, 2013

* By:

/s/ Jason Harrison

Jason Harrison

Attorney-in-Fact**

**

Pursuant to Powers of Attorney for each of J.B. Kittredge and Sheppard N. Burnett, filed with the Securities and Exchange Commission (the SEC) as part of
the Initial Registration Statement of the Registrant on May 31, 2011, pursuant to Power of Attorney for Maria D. Furman filed with the SEC as part of Pre-Effective Amendment No. 2 to the Registration Statement under the Securities Act and
Amendment No. 2 to the Registration Statement under the 1940 Act on September 15, 2011, and pursuant to Power of Attorney for Sandra Whiston filed with the SEC as part of Post-Effective Amendment No. 5 to the Registration Statement
under the Securities Act and Amendment No. 7 to the Registration Statement under the 1940 Act on December 21, 2011.

GMO SERIES TRUST ANNUAL UPDATE 485(b) XBRL FILING (SEPTEMBER 2013)

EXHIBIT INDEX

GMO SERIES TRUST

Exhibit Ref.

Title of Exhibit

EX-101.INS

XBRL Instance Document

EX-101.SCH

XBRL Taxonomy Extension Schema Document

EX-101.CAL

XBRL Taxonomy Extension Calculation Linkbase

EX.101.DEF

XBRL Taxonomy Extension Definition Linkbase

EX.101.LAB

XBRL Taxonomy Extension Labels Linkbase

EX-101.PRE

XBRL Taxonomy Extension Presentation Linkbase

Other.

1

Certificate of Clerk of the Trust certifying resolution by the Board of Trustees of the Trust required pursuant toRule 483 under the Securities Act of 1933.

EX-101.INS
2
gmost-20130830.xml
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style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOU.S.CoreEquitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOU.S.CoreEquitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOU.S.CoreEquitySeriesFund column period compact * ~</div>2013-08-31485BPOSGMO Series Trust00015218942013-08-302013-08-31<b>Investment objective </b><b>Fees and expenses </b><b>Example </b><b>Portfolio turnover </b><b>Principal investment strategies </b><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesU.S.IntrinsicValueSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedU.S.IntrinsicValueSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedU.S.IntrinsicValueSeriesFund column period compact * ~</div>Long-term capital growth.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Intrinsic Value Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.High total return.<b>Principal investment strategies </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.00310.00310.00310.00250.00100.00210.00210.00210.00770.00620.0052-0.0001-0.0001-0.00010.00760.00610.0051The Fund invests substantially all of its assets in GMO U.S. Intrinsic Value Fund ("Intrinsic Value Fund"), which invests directly in securities and other instruments. The Fund's investment objective and principal investment strategies, therefore, are substantially similar to those of Intrinsic Value Fund. References to the Fund may refer to actions undertaken by the Fund or Intrinsic Value Fund. The Fund's investment adviser, GMO, is also the investment adviser to Intrinsic Value Fund.<br/><br/> The Manager seeks to achieve the Fund's investment objective by investing the Fund's portfolio primarily in equity securities that the Manager believes will provide a higher return than the Russell 1000 Value Index.<br/><br/> The Manager determines which securities the Fund should buy or sell based on its evaluation of companies' published financial information and corporate behavior, securities' prices, equity and bond markets, and the overall economy.<br/><br/> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund's investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund's investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund's portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time.<br/><br/> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter ("OTC") derivatives and exchange-traded funds ("ETFs"). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund's investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/> The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. The term "equity securities" refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts ("REITs") and income trusts.<br/><br/> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds.<br/><br/> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.0.00310.00310.0031<b>Principal risks of investing in the Fund </b>0.00250.00100.00210.00210.0021<b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Intrinsic Value Fund (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.00770.00620.00522013-04-30falseThe value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Intrinsic Value Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Intrinsic Value Fund, which include those outlined in the following brief summary of principal risks. Intrinsic Value Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Intrinsic Value Fund may affect Intrinsic Value Fund's performance more than if Intrinsic Value Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Intrinsic Value Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Intrinsic Value Fund. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager's overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund's securities will be unable or unwilling to make timely settlement payments, return the Fund's margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund's losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund's investments were less correlated.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund's investments.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund's operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Intrinsic Value Fund, including the risk that Intrinsic Value Fund will not perform as expected.</li></ul>-0.0001-0.0001-0.00010.00760.00610.0051<b>Annual Total Returns</b>/Class R4 Shares<br />Years Ending December 31This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both USCEF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:786252Highest Quarter: 19.16% (2Q2003)<br />Lowest Quarter: &#8211; 18.36% (4Q2008)<br />Year-to-Date (as of 6/30/13): 15.88%251204172<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.0.29270.1240.05650.1315-0.0417-0.34010.20130.11240.10040.14057862524183723400.14050.13650.09660.14220.14340.17510.02050.01750.01690.0220.02310.0059<b>Principal risks of investing in the Fund </b>0.0630.05210.05230.06460.06570.07380.04230.03160.0330.04390.04490.0405<b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of USCEF (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.12460.12110.08550.12630.160.12740.01990.01710.01660.02150.02250.01660.05690.05130.04870.05850.0710.05951999-08-021999-08-021999-08-021999-08-021999-08-021999-08-020.10360.07930.07960.10530.10640.1039786252418372340<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedU.S.IntrinsicValueSeriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsU.S.IntrinsicValueSeriesFundBarChart column period compact * ~</div>
786252August 31, 2014251204172Many factors can affect this value, and you may lose money by investing in the Fund.Intrinsic Value Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Intrinsic Value Fund may affect Intrinsic Value Fund's performance more than if Intrinsic Value Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.0.26220.09460.03090.09230.0125-0.30510.20850.08480.07730.1246Year-to-Date2013-06-300.1588Highest Quarter:2003-06-300.1916Lowest Quarter:2008-12-31-0.1836<b>GMO U.S. CORE EQUITY SERIES FUND</b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)The Fund invests substantially all of its assets in GMO U.S. Core Equity Fund (&#8220;USCEF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of USCEF. References to the Fund may refer to actions undertaken by the Fund or USCEF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to USCEF. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the S&amp;P 500 Index. <br /><br /> The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br /> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time. The Fund may invest in companies of any market capitalization.<br/><br/>As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities.<br/><br/>Under normal circumstances, the Fund invests directly and indirectly (e.g., through underlying funds or derivatives) at least 80% of its assets in equity investments tied economically to the U.S. The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br/><br/>The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds.<br/><br/>The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in USCEF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through USCEF, which include those outlined in the following brief summary of principal risks. In addition to the risks to which the Fund is exposed through its investment in USCEF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of USCEF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in USCEF, including the risk that USCEF will not perform as expected.</li></ul><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31Highest Quarter: 16.50% (2Q2003)<br/>Lowest Quarter: &#8211; 16.40% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 15.17%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Year-to-Date2013-06-300.1517Highest Quarter:2003-06-300.165Lowest Quarter:2008-12-31-0.1641985-09-181985-09-181985-09-181985-09-181985-09-181985-09-18<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOU.S.CoreEquitySeriesFundBarChart column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOU.S.CoreEquitySeriesFund column period compact * ~</div>
<b>GMO U.S. INTRINSIC VALUE SERIES FUND</b><b>Investment objective </b>0.00380.00380.00380.00250.00100.00210.00210.00210.00840.00690.0059-0.0001-0.0001-0.00010.00830.00680.00588569591992312828559692822311990.37240.22010.1420.2440.1067-0.40230.20680.0995-0.09360.15480.15480.1510.10960.15650.15770.17320.08130.07530.07190.08290.0840.08210.07180.06520.06260.07340.07450.0632002-01-292002-01-292002-01-292002-01-292002-01-292002-01-29Year-to-Date2013-06-300.0294Highest Quarter:2009-06-300.2221Lowest Quarter:2008-09-30-0.1999<b>GMO INTERNATIONAL CORE EQUITY SERIES FUND<b><b>Investment objective </b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)High total return.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both ICEF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO International Core Equity Fund (&#8220;ICEF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of ICEF. References to the Fund may refer to actions undertaken by the Fund or ICEF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to ICEF. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Index. <br /><br /> The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br /> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br /> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br /> The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>Principal risks of investing in the Fund </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in ICEF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through ICEF, which include those outlined in the following brief summary of principal risks. In addition to the risks to which the Fund is exposed through its investment in ICEF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of ICEF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk. </li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in ICEF, including the risk that ICEF will not perform as expected.</li></ul><b>Annual Total Returns</b>/Class R4 Shares<br />Years Ending December 31Highest Quarter: 22.21% (2Q2009)<br />Lowest Quarter: &#8211; 19.99% (3Q2008)<br />Year-to-Date (as of 6/30/13): 2.94%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of ICEF (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesInternationalCoreEquitySeriesFund column period compact * ~</div>
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0.00310.00310.00310.00250.00100.00220.00220.00220.00780.00630.0053-0.0001-0.0001-0.00010.00770.00620.00527963531182113911107963531182113911100.28180.04760.04040.02070.0553-0.31120.24650.13580.12470.1674Year-to-Date2013-06-300.1543Highest Quarter:2003-06-300.1494Lowest Quarter:2008-12-31-0.16920.16740.14660.12910.16910.17030.15260.05070.04510.04260.05230.05330.03120.06780.06050.05740.06940.07050.07520.09670.0650.06870.09840.09950.09021988-12-301988-12-301988-12-301988-12-301988-12-301988-12-30<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesU.S.GrowthSeriesFund column period compact * ~</div>
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<b>GMO U.S. GROWTH SERIES FUND</b><b>Investment objective </b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)Long-term capital growth.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Growth Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Growth Fund (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.The Fund invests substantially all of its assets in GMO U.S. Growth Fund (&#8220;Growth Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of Growth Fund. References to the Fund may refer to actions undertaken by the Fund or Growth Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to Growth Fund. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the Russell 1000 Growth Index. <br /><br /> The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br /> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, industry and sector exposure, and market capitalization. The factors considered and investment methods used by the Manager can change over time. <br /><br /> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br /> The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to the U.S. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Growth Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Growth Fund, which include those outlined in the following brief summary of principal risks. Growth Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Growth Fund may affect Growth Fund&#8217;s performance more than if Growth Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Growth Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Growth Fund. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk and counterparty risk.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. </li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Growth Fund, including the risk that Growth Fund will not perform as expected.</li></ul><b>Annual Total Returns</b>/Class R4 Shares<br />Years Ending December 31Highest Quarter: 14.94% (2Q2003)<br />Lowest Quarter: &#8211; 16.92% (4Q2008)<br />Year-to-Date (as of 6/30/13): 15.43%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.Growth Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Growth Fund may affect Growth Fund&#8217;s performance more than if Growth Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesInternationalLargeMidCapValueSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedInternationalLargeMidCapValueSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesForeignSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedForeignSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedForeignSeriesFund column period compact * ~</div><b>Investment objective </b>Total return in excess of that of its benchmark, the MSCI EAFE Index.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Foreign Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Foreign Fund (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.0060.0060.0060.00250.00100.00230.00230.00230.01080.00930.0083-0.0001-0.0001-0.00010.01070.00920.0082<b>GMO INTERNATIONAL LARGE/MID CAP VALUE SERIES FUND</b><b>Investment objective </b>High total return.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both ILMCVF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO International Large/Mid Cap Value Fund (&#8220;ILMCVF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of ILMCVF. References to the Fund may refer to actions undertaken by the Fund or ILMCVF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to ILMCVF. <br /><br />The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Value Index. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of non-U.S. companies that issue stocks included in the MSCI Standard Indices, international stock indices that target approximately the largest 85% of each market&#8217;s free-float adjusted market capitalization, and in companies with similar market capitalizations (&#8220;large- and mid-cap companies&#8221;). Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in securities of large- and mid-cap companies. For these purposes, non-U.S. companies are companies tied economically to countries other than the U.S., including both developed and emerging countries. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br />The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>Principal risks of investing in the Fund </b>1099484357310279The value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in ILMCVF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through ILMCVF, which include those outlined in the following brief summary of principal risks. In addition to the risks to which the Fund is exposed through its investment in ILMCVF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of ILMCVF.<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager's overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul> <ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk. </li></ul> <ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in ILMCVF, including the risk that ILMCVF will not perform as expected. </li></ul><b>Performance </b>Because ILMCVF had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.0.0050.0050.0050.00250.00100.00220.00220.00220.00970.00820.0072-0.0001-0.0001-0.0001The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Foreign Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Foreign Fund, which include those outlined in the following brief summary of principal risks. Foreign Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Foreign Fund may affect Foreign Fund&#8217;s performance more than if Foreign Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Foreign Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Foreign Fund. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. </li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Foreign Fund, including the risk that Foreign Fund will not perform as expected.</li></ul>0.00960.00810.0071The Fund invests substantially all of its assets in GMO Foreign Fund (&#8220;Foreign Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of Foreign Fund. References to the Fund may refer to actions undertaken by the Fund or Foreign Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to Foreign Fund. <br /><br /> The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to non-U.S. countries, including both developed and emerging countries. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to countries other than the U.S. <ul type="square"><li> Country/Region selection &#8211; The Fund&#8217;s country or region weightings relative to its benchmark are determined by the Manager&#8217;s proprietary quantitative value score for each country or region together with the Manager&#8217;s evaluation of the country&#8217;s or region&#8217;s fundamentals. The Fund typically overweights or underweights (sometimes to a significant extent) its investment exposure in particular countries or regions relative to the Fund&#8217;s benchmark.</li></ul> <ul type="square"><li> Stock selection &#8211; The Manager selects stocks using value based fundamental analysis that is informed by a disciplined quantitative screening process. The Manager analyzes companies for financial, operational, and managerial strength and compares them to their global, regional, and local industry peers. As part of the investment process, the Manager frequently meets with management and/or visits companies.</li></ul> The factors considered and investment methods used by the Manager can change over time. <br /><br /> In pursuing its investment objective, the Fund may (but is not obligated to) use a wide variety of exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives, including, without limitation, futures and options, as well as exchange-traded funds. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure of its equity investments. In addition, the Fund may lend its portfolio securities. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>GMO FOREIGN SERIES FUND</b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012Highest Quarter: 21.57% (2Q2009)<br/>Lowest Quarter: &#8211; 19.87% (3Q2011)<br/>Year-to-Date (as of 6/30/13): 2.47%1099484357310279August 31, 2014The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year.Many factors can affect this value, and you may lose money by investing in the Fund.0.40450.21520.13340.26720.0989-0.39980.22080.0445-0.12210.1581Because ILMCVF had not yet completed a full calendar year of operations as of the date of this Prospectus, performance information for the Fund is not included.9883733382912590.15810.15330.11070.15980.1610.1732-0.0489-0.0542-0.0405-0.0475-0.0465-0.03690.07680.06850.07840.06820.07950.08210.11480.11640.11750.09151984-08-311984-08-311984-08-311984-08-311984-08-311984-08-31August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.Foreign Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Foreign Fund may affect Foreign Fund&#8217;s performance more than if Foreign Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.988373Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).338291259After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedInternationalLargeMidCapValueSeriesFund column period compact * ~</div>
The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.<b>Example </b><b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesInternationalGrowthEquitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedInternationalGrowthEquitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedInternationalGrowthEquitySeriesFund column period compact * ~</div><b>GMO INTERNATIONAL GROWTH EQUITY SERIES FUND</b><b>Investment objective </b>High total return.Highest Quarter<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.Lowest Quarter2011-09-30-0.1987Year-to-Date0.02472013-06-300.2157<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)2009-06-30This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both IGEF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b><b>Performance </b><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedForeignSeriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsForeignSeriesFundBarChart column period compact * ~</div>
<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012Highest Quarter: 17.74% (3Q2010)<br />Lowest Quarter: &#8211; 19.40% (3Q2008)<br />Year-to-Date (as of 6/30/13): 6.30%<br />The Fund invests substantially all of its assets in GMO International Growth Equity Fund (&#8220;IGEF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of IGEF. References to the Fund may refer to actions undertaken by the Fund or IGEF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to IGEF. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes will provide a higher return than the MSCI EAFE Growth Index. <br /><br /> The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br /> In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br /> As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br /> The Fund typically invests directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to countries other than the U.S., including both developed and emerging countries. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in equity investments. The terms &#8220;equity securities&#8221; and &#8220;equity investments&#8221; refer to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesEmergingCountriesSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedEmergingCountriesSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedEmergingCountriesSeriesFund column period compact * ~</div>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in IGEF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through IGEF, which include those outlined in the following brief summary of principal risks. In addition to the risks to which the Fund is exposed through its investment in IGEF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of IGEF. <ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. The Fund may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul> <ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk. </li></ul> <ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in IGEF, including the risk that IGEF will not perform as expected.</li></ul>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark and an additional broad-based international stock index selected by the Manager. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of IGEF (Class III shares) and its predecessor fund, adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.0050.0050.0050.00250.00100.00210.00210.00210.00960.00810.0071-0.0001-0.0001-0.00010.00950.0080.007<b>Investment objective </b>Total return in excess of that of its benchmark, the S&amp;P/IFCI Composite.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.82722682379782723162682370.29990.19660.12780.23690.1352-0.36920.21730.1366-0.0845<b>Example </b>0.201This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Emerging Countries Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Emerging Countries Fund (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.00650.00650.00650.00250.00100.00590.00590.00590.00010.00010.00010.063Year-to-Date2013-06-300.0150.01350.0125Highest Quarter:2010-09-300.1774-0.0001-0.0001-0.0001Lowest Quarter:2008-09-300.01490.01340.0124-0.1940.2010.19470.13820.20280.2040.16860.17320.08980.080.07770.09150.09260.07770.08210.07170.06190.06070.07330.07440.05370.0577-0.0082-0.0133-0.0077-0.0067-0.0057-0.0309-0.03692001-11-302001-11-302001-11-302001-11-302001-11-302001-11-302001-11-30153137127518472441<b>GMO EMERGING COUNTRIES SERIES FUND</b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedInternationalGrowthEquitySeriesFund column period compact * ~</div>
Highest Quarter: 31.04% (2Q2009) <br/>Lowest Quarter: &#8211; 31.43% (4Q2008) <br/>Year-to-Date (as of 6/30/13): &#8211; 14.18%<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsInternationalGrowthEquitySeriesFundBarChart column period compact * ~</div>
The Fund invests substantially all of its assets in GMO Emerging Countries Fund (&#8220;Emerging Countries Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of Emerging Countries Fund. References to the Fund may refer to actions undertaken by the Fund or Emerging Countries Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to Emerging Countries Fund. <br /><br /> The Fund typically makes equity investments directly and indirectly (e.g., through underlying funds or derivatives) in companies tied economically to emerging countries. &#8220;Emerging countries&#8221; include all countries that are not treated as &#8220;developed market countries&#8221; in the MSCI World Index or MSCI EAFE Index. The term &#8220;equity investments&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. Under normal circumstances, the Fund invests directly and indirectly at least 80% of its assets in investments tied economically to emerging countries. In addition to investing in companies tied economically to emerging countries, the Fund may invest in companies that the Manager believes are likely to benefit from growth in the emerging markets. The Manager expects that the Fund will have a value bias relative to its benchmark. <br /><br /> The Manager uses proprietary quantitative techniques and fundamental analysis to evaluate and select countries, sectors, and equity investments based on factors including, but not limited to, valuation and patterns of price movement or price volatility. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br /> As a substitute for direct investments in equities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include options, futures, warrants, swap contracts, and reverse repurchase agreements. The Fund&#8217;s non-U.S. currency exposure may differ from the currency exposure represented by its equity investments. In addition, the Fund may take active overweighted and underweighted positions in particular currencies relative to its benchmark. In addition, the Fund may lend its portfolio securities. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Emerging Countries Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Emerging Countries Fund, which include those outlined in the following brief summary of principal risks. Emerging Countries Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Emerging Countries Fund may affect Emerging Countries Fund&#8217;s performance more than if Emerging Countries Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Emerging Countries Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Emerging Countries Fund. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition, the Fund may buy securities that are less liquid than those in its benchmark.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. The Fund may buy securities that have smaller market capitalizations than those in its benchmark. </li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in a limited number of countries and geographic regions creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Emerging Countries Fund and the underlying funds in which it invests, including the risk that Emerging Countries Fund and those underlying funds (including ETFs) will not perform as expected.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul>August 31, 2014The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year.Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund's annual total returns from year to year for the periods indicated and by comparing the Fund's average annual total returns for different calendar periods with those of the Fund's benchmark and an additional broad-based international stock index selected by the Manager.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Past performance (before and after taxes) is not an indication of future performance.973161531371275184724410.68840.26650.35880.29120.3735-0.55070.67480.2009-0.17420.14730.14730.14690.10250.1490.15020.1889-0.0306-0.0358-0.0247-0.0291-0.0281-0.00560.160.14040.14120.16180.16290.1750.09360.080.0810.09530.09640.08781997-08-291997-08-291997-08-291997-08-291997-08-291997-08-29August 31, 2014The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.Many factors can affect this value, and you may lose money by investing in the Fund.Emerging Countries Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Emerging Countries Fund may affect Emerging Countries Fund&#8217;s performance more than if Emerging Countries Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Highest Quarter0.31042009-06-30Lowest Quarter-0.31432008-12-31Year-to-Date-0.14182013-06-30<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedEmergingCountriesSeriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsEmergingCountriesSeriesFundBarChart column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesQualitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedQualitySeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedQualitySeriesFund column period compact * ~</div><b>Example </b><b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesInternationalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesInternationalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedInternationalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedInternationalEquityAllocationSeriesFund column period compact * ~</div><b>Example </b><b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesBenchmark-FreeAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesBenchmark-FreeAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedBenchmark-FreeAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedBenchmark-FreeAllocationSeriesFund column period compact * ~</div><b>Example </b><b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesCorePlusBondSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedCorePlusBondSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedCorePlusBondSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGlobalAssetAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGlobalAssetAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGlobalAssetAllocationSeriesFund column period compact * ~</div><b>Investment objective </b>Total return greater than that of its benchmark, the GMO Global Asset Allocation Index, an internally maintained index computed by GMO, consisting of 65% MSCI ACWI and 35% Barclays U.S. Aggregate Index.<b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b>000<b>Investment objective </b>Total return in excess of that of its benchmark, the Barclays U.S. Aggregate Index.0.00250.0010<b>Fees and expenses </b>0.00050.00050.0005The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.00590.00590.00590.00890.00740.0064<b>Investment objective </b>Positive total return not &#8220;relative&#8221; return.000<b>Fees and expenses </b>0.00890.00740.0064The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b>0.00650.00650.0065<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesEmergingCountryDebtSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesEmergingCountryDebtSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedEmergingCountryDebtSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedEmergingCountryDebtSeriesFund column period compact * ~</div><b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both GAAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.00330.00330.00330.00250.00250.00250.00210.00210.00210.00250.0010<b>Portfolio turnover </b>0.0010.0010.0010.00210.00210.0021The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During the Fund&#8217;s initial fiscal period (from July 31, 2012 to April 30, 2013), the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 6% of the average value of its portfolio.0.01210.01060.0096<b>Principal investment strategies </b>0.00250.00100.00790.00640.0054-0.0001-0.0001-0.00010.00220.00220.0022<b>Performance </b>-0.0001-0.0001-0.00010.00020.00020.00020.0120.01050.0095The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of broad-based indices and the Fund&#8217;s benchmark (which is a composite index computed by the Manager). The Fund commenced operations on July 31, 2012. Returns prior to the date the Fund commenced operations are those of GAAF (Class III shares), adjusted to reflect the estimated gross operating expenses (on a percentage basis) that were expected to be borne by shareholders of each class of shares of the Fund as of the commencement of the Fund&#8217;s operations. The effect of purchase premiums and redemption fees paid by the Fund to GAAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.00780.00630.00530.00740.00590.0049This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both BFAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:-0.0001-0.0001-0.0001The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During the Fund&#8217;s initial fiscal period (from January 24, 2013 to April 30, 2013), the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 0% of the average value of its portfolio.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b>0.00730.00580.0048<b>Performance </b><b>GMO INTERNATIONAL EQUITY ALLOCATION SERIES FUND</b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the MSCI World Index, the Barclays U.S. Treasury Inflation Notes: 1-10 Year Index, and the Consumer Price Index. The Fund commenced operations on January 24, 2013, subsequent to the periods shown in the bar chart and table below. Returns prior to the date the Fund commenced operations are those of BFAF (Class III shares), adjusted to reflect the estimated gross operating expenses (on a percentage basis) that were expected to be borne by shareholders of each class of shares of the Fund as of the commencement of the Fund&#8217;s operations. The returns shown for periods prior to January 1, 2012 are for Class III shares of BFAF under BFAF&#8217;s prior fee arrangement. Under BFAF&#8217;s current fee arrangement, the returns for periods prior to January 1, 2012 would have been lower. The effect of purchase premiums and redemption fees paid by the Fund to BFAF are not reflected in the bar chart or table below for periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Investment objective </b>Total return greater than that of its benchmark, the MSCI ACWI ex USA.<b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b><b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both IEAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>If you sell your shares</b><b>If you do not sell your shares</b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During its fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 3% of the average value of its portfolio.<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO International Equity Allocation Fund (&#8220;IEAF&#8221;), which invests primarily in shares of other funds managed by GMO (&#8220;GMO Funds&#8221;). The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of IEAF. References to the Fund may refer to actions undertaken by the Fund or IEAF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to IEAF.<br/><br/> The Fund is a fund of funds and invests primarily in shares of GMO Funds that invest in international and emerging market equity securities (collectively, the &#8220;GMO International Equity Funds&#8221;) and in shares of GMO Funds that invest in global equity securities (collectively, the &#8220;GMO Global Equity Funds&#8221;). In addition, the Fund may invest in shares of other GMO Funds, including GMO Funds that invest in fixed income securities (collectively, the &#8220;GMO Fixed Income Funds&#8221;), GMO Alpha Only Fund and GMO Alternative Asset Opportunity Fund (the GMO Funds in which the Fund invests are collectively referred to herein as the &#8220;underlying Funds&#8221;). The Fund also may invest in securities and derivatives directly. <br /><br />Although the Fund&#8217;s primary exposure is to non-U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to non-U.S. and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), as well as to commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying Funds) at least 80% of its assets in equity investments. The term &#8220;equity investments&#8221; refers to direct and indirect (e.g., through the underlying Funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br />The Manager uses multi-year forecasts of returns and risk among asset classes (e.g., non-U.S. equity, emerging country equity, emerging country debt, non-U.S. fixed income, U.S. fixed income and commodities) to select the underlying Funds in which the Fund invests and to decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager changes the Fund&#8217;s holdings of underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund&#8217;s investments. The factors considered and investment methods used by the Manager can change over time. <br /><br />The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds. <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>Principal risks of investing in the Fund </b><b> GMO EMERGING COUNTRY DEBT SERIES FUND</b>805464<b>Investment objective </b>256208176This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Core Plus Bond Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:Total return in excess of that of its benchmark, the J.P. Morgan EMBI Global.<b>Fees and expenses </b>755949The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b>274227195<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both ECDF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO Global Asset Allocation Fund ("GAAF"), which invests primarily in shares of other funds managed by GMO ("GMO Funds"). The Fund's investment objective and principal investment strategies, therefore, are substantially similar to those of GAAF. References to the Fund may refer to actions undertaken by the Fund or GAAF. The Fund's investment adviser, GMO, is also the investment adviser to GAAF.<br/><br/> The Fund is a fund of funds and invests primarily in shares of other GMO Funds, which may include GMO Funds that invest in international and emerging market equity securities (collectively, the "GMO International Equity Funds"), GMO Funds that invest in global equity securities (collectively, the "GMO Global Equity Funds"), GMO Funds that invest in U.S. equity securities (collectively, the "GMO U.S. Equity Funds"), GMO Funds that invest in fixed income securities (collectively, the "GMO Fixed Income Funds"), GMO Alpha Only Fund, GMO Alternative Asset Opportunity Fund, GMO Debt Opportunities Fund, GMO High Quality Short-Duration Bond Fund, GMO Special Situations Fund, GMO World Opportunity Overlay Fund, and GMO U.S. Flexible Equities Fund (collectively, the "underlying Funds"). In addition, the Fund may invest in securities (particularly asset-backed securities) and derivatives directly.<br/><br/> The Fund is permitted to invest in non-U.S. and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), U.S. and non-U.S. fixed income securities (including asset-backed securities and other fixed income securities of any credit quality and having any maturity or duration), commodities and, from time to time, other alternative asset classes. The term "equity investments" refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts ("REITs") and income trusts.<br/><br/> The Manager uses multi-year forecasts of returns and risk among asset classes (e.g., non-U.S. equity, U.S. equity, emerging country equity, emerging country debt, U.S. fixed income, non-U.S. fixed income and commodities) to select the underlying Funds in which the Fund invests and to decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager changes the Fund's holdings of underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund's investments. Under normal circumstances, the Manager intends to invest not more than 85% of the Fund's assets in the GMO U.S. Equity Funds, GMO International Equity Funds and GMO Global Equity Funds. The factors considered and investment methods used by the Manager can change over time.<br/><br/> The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds.<br/><br/> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.806454<b>Principal risks of investing in the Fund </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.256208176<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO Emerging Country Debt Fund (&#8220;ECDF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of ECDF. References to the Fund may refer to actions undertaken by the Fund or ECDF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to ECDF.<br/><br/> The Fund invests primarily in debt of emerging countries that is issued by a sovereign or its instrumentalities outside the country of the issuer and usually is denominated in the currency of the country in which it is issued (e.g., U.S. dollar, Euro, Japanese yen, Swiss franc and British pound sterling). Under normal circumstances, the Fund invests directly and indirectly (e.g., through other funds managed by GMO (&#8220;GMO Funds&#8221;) or derivatives) at least 80% of its assets in debt investments tied economically to emerging countries. The term &#8220;emerging countries&#8221; means the world&#8217;s less developed countries. In general, the Fund considers &#8220;emerging countries&#8221; to be the countries included in the Fund&#8217;s benchmark, as well as other countries with similar national income characteristics. <br /><br />The Fund typically gains its investment exposure by purchasing debt investments or by using derivatives, typically credit default swaps. The Fund maintains a substantial portion of its assets either through direct holdings or indirectly through derivatives in below investment grade debt investments (commonly referred to as &#8220;junk bonds&#8221;). Those investments have speculative characteristics and are riskier than investment grade debt investments. Generally, at least 75% of the Fund&#8217;s assets are denominated in, or hedged into, U.S. dollars. The Fund&#8217;s performance is likely to be more volatile than that of its benchmark. <br /><br />The Manager emphasizes a bottom-up approach to select debt issued by sovereign and quasi-sovereign entities, using analytical techniques that seek to uncover the most undervalued instrument(s) issued by a particular sovereign or quasi-sovereign entity. The Manager also considers its outlook for a country in making investment decisions and typically uses portfolio cash flows to rebalance the Fund&#8217;s portfolio. The factors considered and investment methods used by the Manager can change over time. <br /><br />In pursuing its investment objective, the Fund typically uses exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives, including options, swap contracts (in addition to credit default swaps), currency forwards (including currency forwards on currencies of the developed markets), reverse repurchase agreements and futures. The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund&#8217;s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices. <br /><br />The Fund also has direct and indirect holdings in U.S. asset-backed securities. The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br />The Manager normally seeks to maintain an interest rate duration for the Fund that is similar to that of its benchmark (approximately 7.1 years as of 5/31/13). <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund&#8217;s investments in the underlying Funds. Because the Fund invests substantially all of its assets in IEAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through IEAF, which include those outlined in the following brief summary of principal risks. Some of the underlying Funds of IEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies. In addition to the risks to which the Fund is exposed through its investment in IEAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of IEAF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul><ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in IEAF and the underlying Funds in which it invests, including the risk that IEAF and those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of IEAF and the underlying Funds in which it invests, a reallocation of IEAF&#8217;s investments to underlying Funds with higher fees or expenses will increase the Fund&#8217;s total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee.</li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li> Natural Resources Risk &#8211; To the extent an underlying Fund concentrates its assets in the natural resources sector, the value of its portfolio is subject to factors affecting the natural resources industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul><ul type="square"><li> Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund&#8217;s shares to decline and fluctuate in a rapid and unpredictable manner.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund&#8217;s loss on a short sale of securities that the underlying Fund does not own is unlimited.</li></ul><ul type="square"><li> Options Risk &#8211; The market price of options written by an underlying Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option&#8217;s expiration.</li></ul><ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul><ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul><ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. The Fund commenced operations on March 30, 2012. Returns prior to the date the Fund commenced operations are those of IEAF (Class III shares), adjusted to reflect the estimated gross operating expenses (on a percentage basis) that were expected to be borne by shareholders of each class of shares of the Fund as of the commencement of the Fund&#8217;s operations. The effect of purchase premiums and redemption fees paid by the Fund to IEAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.-0.01210.12390.0568-0.24360.19480.0514<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31The value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund's investments in the underlying Funds. Because the Fund invests substantially all of its assets in GAAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through GAAF, which include those outlined in the following brief summary of principal risks. Some of the underlying Funds of GAAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies. In addition to the risks to which the Fund is exposed through its investment in GAAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of GAAF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager's overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares. </li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations. </li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. </li></ul><ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market's uncertainty about the value of a fixed income investment (or class of fixed income investments). </li></ul><ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security. </li></ul><ul type="square"><li> Options Risk &#8211; The market price of options written by an underlying Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option's expiration. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices. </li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk. </li></ul><ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in GAAF and the underlying Funds in which it invests, including the risk that GAAF and those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of GAAF and the underlying Funds in which it invests, a reallocation of GAAF's investments to underlying Funds with higher fees or expenses will increase the Fund's total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee. </li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations. </li></ul><ul type="square"><li> Natural Resources Risk &#8211; To the extent an underlying Fund concentrates its assets in the natural resources sector, the value of its portfolio is subject to factors affecting the natural resources industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. </li></ul><ul type="square"><li> Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund's shares to decline and fluctuate in a rapid and unpredictable manner. </li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies. In addition, hedging a non-U.S. currency can have a negative effect on performance if the U.S. dollar declines in value relative to that currency. </li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund's losses when the value of its investments (including derivatives) declines. </li></ul><ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer's, guarantor's, or obligor's failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities. </li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund's securities will be unable or unwilling to make timely settlement payments, return the Fund's margin or otherwise honor its obligations. </li></ul><ul type="square"><li> Real Estate Risk &#8211; To the extent an underlying Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries. </li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund's investments. </li></ul><ul type="square"><li> Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund's loss on a short sale of securities that the underlying Fund does not own is unlimited. </li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund's investments were less correlated. </li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund's operations.</li></ul>0.11410.1166Highest Quarter: 21.84% (2Q2009)<br/>Lowest Quarter: &#8211; 20.22% (3Q2008)<br/>Year-to-Date (as of 6/30/13): &#8211; 0.61%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012<b>Principal risks of investing in the Fund </b>0.11660.09910.09580.11820.11940.160.0340.0290.02910.03560.03660.01660.04060.03610.03480.04220.04320.04652004-02-062004-02-062004-02-062004-02-062004-02-062004-02-06000000The value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in ECDF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through ECDF, which include those outlined in the following brief summary of principal risks. ECDF is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by ECDF may affect ECDF's performance more than if ECDF were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in ECDF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of ECDF.<ul type="square"><li>Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market's uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market price of emerging country sovereign and quasi-sovereign debt instruments can decline due to market uncertainty about their credit quality and the reliability of their payment streams.</li></ul><ul type="square"><li>Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer's, guarantor's, or obligor's failure to meet its payment obligations. In addition, investments in emerging country sovereign debt involve a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of default. Investments in quasi-sovereign debt are also subject to the risk that the issuer will default independently of its sovereign. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices. In addition, because the Fund typically invests in securities that are less liquid than those in its benchmark, in rapidly declining markets the percentage decline in the Fund's investments is likely to exceed that of its benchmark.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund's losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul><ul type="square"><li>Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund's non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund's securities will be unable or unwilling to make timely settlement payments, return the Fund's margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in a limited number of countries, regions, sectors, companies, or industries creates more risk than if the Fund's investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund's investments.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in ECDF and the underlying funds in which it invests, including the risk that ECDF and those underlying funds will not perform as expected.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund's operations.</li></ul><div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGlobalAssetAllocationSeriesFund column period compact * ~</div>
The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of ECDF (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. Purchase premiums and redemption fees are not reflected in the bar chart and, if these amounts were reflected, returns would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Performance</b><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31Highest Quarter: 20.19% (3Q2009)<br/>Lowest Quarter: &#8211; 23.45% (4Q2008)<br/>Year-to-Date (as of 6/30/13): &#8211; 5.57%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.09640.07950.06240.0980.09910.04220.05470.01910.02440.05630.05740.05950.05110.02390.02710.05270.05380.05180.05760.03030.03260.05920.06030.0626522476445510464433August 31, 20140.03Many factors can affect this value, and you may lose money by investing in the Fund.Some of the underlying Funds of IEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Highest Quarter:2009-06-300.2184Lowest Quarter:2008-09-30-0.2022Year-to-Date2013-06-30497559-0.006127422719500.0020-0.0020.00110.00110.0011-0.0011-0.0011-0.001100.00200.0020-0.0020-0.0020.10880.06250.03480.053The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.-0.0174-0.19840.21320.12920.08420.09640000.002500.0010.00050.00050.00050.00740.00740.00740.01040.00890.00790000.01040.00890.0079August 31, 2014The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year.Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund's annual total returns from year to year for the periods indicated and by comparing the Fund's average annual total returns for different calendar periods with those of the Fund's benchmark (which is a broad-based index) and a composite index computed by the Manager.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.0.00350.00350.00350.00250.00100.00330.00330.00330.00930.00780.0068<b>GMO QUALITY SERIES FUND</b><b>Investment objective </b>-0.0001-0.0001-0.0001Total return.<b>Fees and expenses </b>0.00920.00770.0067The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both Quality Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO Quality Fund (&#8220;Quality Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of Quality Fund. References to the Fund may refer to actions undertaken by the Fund or Quality Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to Quality Fund. <br /><br />The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in equity securities that the Manager believes to be of high quality. <br /><br />The Manager determines which securities the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br />In assessing a company&#8217;s quality, the Manager may consider several factors, including, in particular, high profitability, stable profitability, and low leverage. <br /><br />In selecting securities for the Fund, the Manager uses a combination of investment methods to identify securities that the Manager believes have positive return potential relative to other securities in the Fund&#8217;s investment universe. Some of these methods evaluate individual securities or groups of securities based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a security or groups of securities relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br />As a substitute for direct investments in equity securities, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts, and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br />The Fund may hold shares in fewer than 100 companies. The Fund may make tactical allocations of up to 20% of its net assets to investments in cash and high quality debt instruments. <br /><br />The Fund is permitted to invest directly and indirectly (e.g., through underlying funds or derivatives) in equity securities of companies tied economically to any country in the world, including emerging countries. The term &#8220;equity securities&#8221; refers to direct and indirect investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br />The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>Principal risks of investing in the Fund </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Quality Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Quality Fund, which include those outlined in the following brief summary of principal risks. Quality Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Quality Fund may affect Quality Fund&#8217;s performance more than if Quality Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Quality Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Quality Fund. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in a limited number of countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated. The Fund invests its assets in the securities of a limited number of issuers, and a decline in the market price of a particular security held by the Fund may affect the Fund&#8217;s performance more than if the Fund invested in the securities of a larger number of issuers.</li></ul> <ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries. </li></ul> <ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul> <ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Quality Fund, including the risk that Quality Fund will not perform as expected.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Quality Fund (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. Performance information (before and after taxes) for certain periods reflects performance achieved prior to the change in Quality Fund&#8217;s principal investment strategies, effective June 1, 2009. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31Highest Quarter: 11.44% (3Q2010)<br/>Lowest Quarter: &#8211; 13.20% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 12.63%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 20120.09670.09520.06420.09840.09950.15830.05040.01870.0480.03280.03230.04960.05060.05640.0181The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.August 31, 20140.10580.08540.08270.10740.10850.06590.05580.0245147131121Many factors can affect this value, and you may lose money by investing in the Fund.Quality Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Quality Fund may affect Quality Fund&#8217;s performance more than if Quality Fund were a diversified investment company.385339307The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.643563509Past performance (before and after taxes) is not an indication of future performance.138112081091Highest Quarter2010-09-300.1144Lowest Quarter2008-12-31-0.132<b>GMO CORE PLUS BOND SERIES FUND</b>Year-to-Date<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)2013-06-30The Fund invests substantially all of its assets in GMO Core Plus Bond Fund (&#8220;Core Plus Bond Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of Core Plus Bond Fund. References to the Fund may refer to actions undertaken by the Fund or Core Plus Bond Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to Core Plus Bond Fund. <br /><br /> The Fund&#8217;s investment program has two principal components. One component seeks to replicate the Fund&#8217;s benchmark. The second component seeks to add value relative to the Fund&#8217;s benchmark by taking positions that are unrelated to its benchmark. These positions primarily include global interest rate and currency derivatives and indirect (through other funds managed by GMO (&#8220;GMO Funds&#8221;)) and direct credit investments in asset-backed, government and emerging country debt markets, and can cause the Fund&#8217;s performance to differ significantly from that of its benchmark.<br/><br/> In deciding what positions to take in global interest rate and currency markets and the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets and the merits of overweighting or underweighting particular positions. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets. <br /><br /> In making decisions regarding credit investments, the Manager uses fundamental investment techniques to assess the expected performance of each investment relative to the Fund&#8217;s benchmark. <br /><br /> The factors considered and investment methods used by the Manager can change over time. <br /><br /> In pursuing its investment program, the Fund may have positions in: <ul type="square"><li> derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps, and other swap contracts (to generate a return comparable to the Fund&#8217;s benchmark and to pursue risk and return in global interest rate, currency, and credit markets);</li></ul> <ul type="square"><li> bonds denominated in various currencies, including non-U.S. and U.S. government bonds, asset-backed securities issued by non-U.S. governments and U.S. government agencies (whether or not guaranteed or insured by those governments), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers;</li></ul> <ul type="square"><li> shares of GMO Short-Duration Collateral Fund (&#8220;SDCF&#8221;) (to provide exposure to asset-backed securities);</li></ul> <ul type="square"><li> shares of GMO World Opportunity Overlay Fund (&#8220;Overlay Fund&#8221;) (to provide exposure to the global interest rate, currency, and credit (including, asset-backed) markets);</li></ul> <ul type="square"><li> shares of GMO Emerging Country Debt Fund (&#8220;ECDF&#8221;) (to provide exposure to emerging country debt securities);</li></ul> <ul type="square"><li> shares of GMO U.S. Treasury Fund and unaffiliated money market funds;</li></ul> <ul type="square"><li> shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and non-U.S. debt investments); and</li></ul> <ul type="square"><li> shares of GMO Debt Opportunities Fund (to provide exposure to global credit (particularly, asset-backed) markets).</li></ul> As a result primarily of its investment in shares of SDCF, Overlay Fund, and ECDF, the Fund has and is expected to continue to have material exposure to U.S. asset-backed and emerging country debt securities that are below investment grade. <br /><br /> The Manager normally seeks to maintain the Fund&#8217;s estimated interest rate duration within +/- 2 years of the benchmark&#8217;s duration (approximately 5.5 years as of 5/31/13). <br /><br /> Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% of its assets in bonds. The term &#8220;bond&#8221; includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward, or option). <br /><br /> The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund&#8217;s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.0.1263The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in Core Plus Bond Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through Core Plus Bond Fund, which include those outlined in the following brief summary of principal risks. Core Plus Bond Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Core Plus Bond Fund may affect Core Plus Bond Fund&#8217;s performance more than if Core Plus Bond Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in Core Plus Bond Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of Core Plus Bond Fund. <ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul> <ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security. </li></ul> <ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul> <ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another, such as the Fund&#8217;s investments in asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans, and home equity loans), creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in Core Plus Bond Fund and the underlying funds in which it invests, including the risk that Core Plus Bond Fund and those underlying funds will not perform as expected.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31Highest Quarter: 9.03% (3Q2009)<br/>Lowest Quarter: &#8211; 15.31% (4Q2008)<br/>Year-to-Date (as of 6/30/13): &#8211; 0.43%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012<b>Performance</b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of Core Plus Bond Fund (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.126111101363285316619539485The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.August 31, 2014135210611179Many factors can affect this value, and you may lose money by investing in the Fund.Core Plus Bond Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by Core Plus Bond Fund may affect Core Plus Bond Fund&#8217;s performance more than if Core Plus Bond Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedQualitySeriesFund column period compact * ~</div>
Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsQualitySeriesFundBarChart column period compact * ~</div>
Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Year-to-Date2013-06-30-0.0043Highest Quarter:2009-09-300.0903Lowest Quarter:1951801702008-12-31-0.1531400353322143128118344297265<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<br /><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31Highest Quarter: 9.10% (2Q2009) <br/>Lowest Quarter: &#8211; 6.98% (4Q2008) <br/>Year-to-Date (as of 6/30/13): 3.74%<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedCorePlusBondSeriesFund column period compact * ~</div>
0.35960.18630.15410.14450.0885<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsCorePlusBondSeriesFundBarChart column period compact * ~</div>
00.0011-0.33460.4970-0.00110.25250.07170.263400.001100.00110-0.00110-0.00111139888345298267596516461Year-to-Date2013-06-30-0.05570.4804Highest Quarter:1315114110232009-09-300.20190.2375Lowest Quarter:10286760.18352008-12-31-0.23451997-04-301997-04-301997-04-301997-04-301997-04-301997-04-300.255300.00500.00500.0053332862555835024481299112510070.25080.21590.16210.25260.25390.18540.18540.10830.07140.06950.110.11110.10470.10470.14510.10380.10170.14690.1480.11560.11560.1660.11330.11210.16770.16890.12220.12130.1707-0.41580.27670.1267-0.11530.16330.16330.15970.11470.16510.16630.16831994-04-191994-04-191994-04-191994-04-191994-04-191994-04-191994-04-190.10670.09190.0920.10840.10950.09740.07440.05860.05940.0760.07710.05230.00250.0010145129119<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesDevelopedWorldStockSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesDevelopedWorldStockSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedDevelopedWorldStockSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedDevelopedWorldStockSeriesFund column period compact * ~</div>1996-10-111996-10-111996-10-111996-10-111996-10-111996-10-11133118108<b>Annual Total Returns</b>/Class R4 Shares<br />Years Ending December 31<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsEmergingCountryDebtSeriesFundBarChart column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedEmergingCountryDebtSeriesFund column period compact * ~</div>
00.00250-0.002500.00250-0.0025The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund&#8217;s investments in the underlying Funds. Because the Fund invests substantially all of its assets in BFAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through BFAF, which include those outlined in the following brief summary of principal risks. Some of the underlying Funds of BFAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies. In addition to the risks to which the Fund is exposed through its investment in BFAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of BFAF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results (including the annualized excess returns the Fund seeks above the Consumer Price Index). The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations. The Fund is also subject to risk because GMO does not manage the Fund to, or control the Fund&#8217;s risk relative to, any securities index or securities benchmark.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments). </li></ul> <ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul> <ul type="square"><li> Options Risk &#8211; The market price of options written by an underlying Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option&#8217;s expiration.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalization.</li></ul> <ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in BFAF and the underlying Funds in which it invests, including the risk that BFAF and those underlying Funds will not perform as expected.</li></ul> <ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Natural Resources Risk &#8211; To the extent an underlying Fund concentrates its assets in the natural resources sector, the value of its portfolio is subject to factors affecting the natural resources industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul> <ul type="square"><li> Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund&#8217;s shares to decline and fluctuate in a rapid and unpredictable manner.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Real Estate Risk &#8211; To the extent an underlying Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund&#8217;s loss on a short sale of securities that the underlying Fund does not own is unlimited.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund&#8217;s operations.</li></ul>00.00250-0.0025-0.0286-0.0392-0.0255-0.0271-0.0261-0.0289-0.01180.17780.16070.12580.10940.00450.00450.0045-0.11510.20280.00250.00100.04580.03540.00210.00210.00210.0967Highest Quarter: 14.19% (2Q2003)<br/>Lowest Quarter: &#8211; 9.55% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 3.20%0.00910.00760.0066<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedInternationalEquityAllocationSeriesFund column period compact * ~</div>
-0.0001-0.0001-0.0001<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsInternationalEquityAllocationSeriesFundBarChart column period compact * ~</div>
0.0090.00750.0065<b>Principal risks of investing in the Fund </b>0.09770.09190.06790.09930.10050.16130.04220.12070.03150.01820.02030.03310.03410.05950.01820.08360.06940.06690.08530.08640.08110.05180.0678<div style="display:none">~ http://www.gmo.com/role/ScheduleShareholderFeesGlobalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGlobalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGlobalEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGlobalEquityAllocationSeriesFund column period compact * ~</div>Year-to-Date2013-06-300.0374Highest Quarter:2009-06-300.091Lowest Quarter:2008-12-31-0.0698August 31, 2014The amounts represent an estimate based on the operating expenses incurred during the Fund's initial fiscal year.The amounts represent an estimate based on the operating expenses incurred during the Fund's initial fiscal year.00.07360.05480.05420.07530.07640.05390.06310.0509<b>Investment objective </b>Total return greater than that of its benchmark, the MSCI ACWI.<b>If you sell your shares</b><b>Fees and expenses </b><b>If you do not sell your shares</b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Shareholder fees </b><b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both GEAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:<b>Portfolio turnover </b>The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. During the Fund&#8217;s initial fiscal period (from September 4, 2012 to April 30, 2013), the Fund&#8217;s portfolio turnover rate (excluding short-term investments) was 46% of the average value of its portfolio.<b>Principal investment strategies </b><b>Principal risks of investing in the Fund </b>Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager. The Fund commenced operations on September 4, 2012. Returns prior to the date the Fund commenced operations are those of GEAF (Class III shares), adjusted to reflect the estimated gross operating expenses (on a percentage basis) that were expected to be borne by shareholders of each class of shares of the Fund as of the commencement of the Fund&#8217;s operations. The effect of purchase premiums and redemption fees paid by the Fund to GEAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.Some of the underlying Funds of BFAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies.0000.00250.0010The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the MSCI World Index, the Barclays U.S. Treasury Inflation Notes: 1-10 Year Index, and the Consumer Price Index.0.00630.00630.0063143127117<b>GMO GLOBAL ASSET ALLOCATION SERIES FUND</b>0.00550.00550.0055365318287Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.0.28060.01430.01280.01180.13090.09150.1176-0.0058-0.0058-0.00580.0824-0.19630.00850.0070.0060.2201<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedBenchmark-FreeAllocationSeriesFund column period compact * ~</div>
117101910.07053372902580.01350.0977<b>Example </b><b>Portfolio turnover </b>1996-06-281996-06-281996-06-281996-06-281996-06-281996-06-281996-06-281996-06-28<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesInternationalBondSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedInternationalBondSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedInternationalBondSeriesFund column period compact * ~</div>1099484439393362793714661<b>If you sell your shares</b><b>If you do not sell your shares</b>1790162315119882720.20614273803490.0691780701647-0.37781775160814950.2240.1003<b>Investment objective </b>Total return in excess of that of its benchmark, the J.P. Morgan GBI Global ex U.S.-0.0357<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.1257This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both International Bond Fund and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:0.12010.11560.08390.12180.15830.1229The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.<b>Principal investment strategies </b>0.02820.02070.02250.02970.03070.037<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsBenchmark-FreeAllocationSeriesFundBarChart column period compact * ~</div>
August 31, 2014<b>Performance</b>2003-07-232003-07-232003-07-232003-07-232003-07-232003-07-232003-07-232003-07-230-0.0050-0.0050-0.005<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>If you sell your shares</b><b>Example </b><b>Portfolio turnover </b><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesGMOInternationalOpportunitiesEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedGMOInternationalOpportunitiesEquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedGMOInternationalOpportunitiesEquityAllocationSeriesFund column period compact * ~</div><b>If you sell your shares</b><b>If you do not sell your shares</b><b>If you do not sell your shares</b>0.06<b>GMO BENCHMARK-FREE ALLOCATION SERIES FUND</b>2005-08-012005-08-012005-08-012005-08-012005-08-012005-08-01Many factors can affect this value, and you may lose money by investing in the Fund.<b>GMO INTERNATIONAL OPPORTUNITIES EQUITY ALLOCATION SERIES FUND</b>Some of the underlying Funds of GAAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies.000<b>Investment objective </b>Total return greater than that of its benchmark, the MSCI EAFE Index.0.00250.0010<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of broad-based indices and the Fund&#8217;s benchmark (which is a composite index computed by the Manager).0.00060.00060.0006Past performance (before and after taxes) is not an indication of future performance.0.00610.00610.0061<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.00920.00670.0077This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both IOEAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:-0.0001-0.0001-0.0001The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.0.00910.00760.0066<b>Principal investment strategies </b>The effect of purchase premiums and redemption fees paid by the Fund to GAAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown.The Fund invests substantially all of its assets in GMO International Opportunities Equity Allocation Fund (&#8220;IOEAF&#8221;), which invests primarily in shares of other funds managed by GMO (&#8220;GMO Funds&#8221;). The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of IOEAF. References to the Fund may refer to actions undertaken by the Fund or IOEAF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to IOEAF. <br /><br />The Fund is a fund of funds and invests primarily in shares of GMO Funds that invest in international and emerging market equity securities (collectively, the &#8220;GMO International Equity Funds&#8221;) and in shares of GMO Funds that invest in global equity securities (collectively, the &#8220;GMO Global Equity Funds&#8221;). In addition, the Fund may invest in shares of other GMO Funds, including GMO Funds that invest in fixed income securities (collectively, the &#8220;GMO Fixed Income Funds&#8221;), GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund (the GMO Funds in which the Fund invests are collectively referred to herein as the &#8220;underlying Funds&#8221;). The Fund also may invest in securities and derivatives directly.<br/><br/> Although the Fund&#8217;s primary exposure is to non-U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to non-U.S. and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), as well as to commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying Funds) at least 80% of its assets in equity investments. The term &#8220;equity investments&#8221; refers to direct and indirect (e.g., through the underlying Funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts. <br /><br />The Manager uses multi-year forecasts of returns and risk among asset classes (e.g., non-U.S. equity, emerging country equity, emerging country debt, non-U.S. fixed income, U.S. fixed income, and commodities) to select the underlying Funds in which the Fund invests and to decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager changes the Fund&#8217;s holdings of the underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund&#8217;s investments. The factors considered and investment methods used by the Manager can change over time. <br /><br />The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds. <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>Principal risks of investing in the Fund </b>Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).The effect of purchase premiums and redemption fees paid by the Fund to BFAF are not reflected in the bar chart or table below for periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown.After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.<b>Principal risks of investing in the Fund </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund&#8217;s investments in the underlying Funds. Because the Fund invests substantially all of its assets in IOEAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through IOEAF, which include those outlined in the following brief summary of principal risks. Some of the underlying Funds of IOEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies. In addition to the risks to which the Fund is exposed through its investment in IOEAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of IOEAF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies. </li></ul><ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices. </li></ul><ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul><ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in IOEAF and the underlying Funds in which it invests, including the risk that IOEAF and those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of IOEAF and the underlying Funds in which it invests, a reallocation of IOEAF&#8217;s investments to underlying Funds with higher fees or expenses will increase the Fund&#8217;s total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee.</li></ul><ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li> Natural Resources Risk &#8211; To the extent an underlying Fund concentrates its assets in the natural resources sector, the value of its portfolio is subject to factors affecting the natural resources industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul><ul type="square"><li> Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund&#8217;s shares to decline and fluctuate in a rapid and unpredictable manner.</li></ul><ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund&#8217;s loss on a short sale of securities that the underlying Fund does not own is unlimited.</li></ul><ul type="square"><li> Options Risk &#8211; The market price of options written by an underlying Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option&#8217;s expiration.</li></ul><ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul><ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul><ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul><ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund&#8217;s operations.</li></ul>Year-to-Date2013-06-300.032Highest Quarter:<b>Performance </b>2003-06-300.1419Lowest Quarter:2008-12-31The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of IOEAF (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.305258226<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31-0.0955Highest Quarter: 19.45% (2Q2009)<br/>Lowest Quarter: &#8211; 18.87% (3Q2008)<br/>Year-to-Date (as of 6/30/13): 3.90%<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of International Bond Fund (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.0.16770.16320.11740.16950.17060.17320.01490.00380.01060.01640.01740.00680.14050.13260.09990.14220.14340.16130.16130.00240.00010.00390.00490.08580.07220.07230.08740.08850.08110.06820.07680.05720.05840.07840.07950.05070.0517The Fund invests substantially all of its assets in GMO Global Equity Allocation Fund ("GEAF"), which invests primarily in shares of other funds managed by GMO ("GMO Funds"). The Fund's investment objective and principal investment strategies, therefore, are substantially similar to those of GEAF. References to the Fund may refer to actions undertaken by the Fund or GEAF. The Fund's investment adviser, GMO, is also the investment adviser to GEAF.<br/><br/> The Fund is a fund of funds and invests primarily in shares of GMO Funds that invest in international and emerging market equity securities (collectively, the "GMO International Equity Funds"), GMO Funds that invest in global equity securities (collectively, the "GMO Global Equity Funds"), GMO U.S. Flexible Equities Fund, and GMO Funds that invest in U.S. equity securities (collectively, the "GMO U.S. Equity Funds"). In addition, the Fund may invest in shares of other GMO Funds, including GMO Funds that invest in fixed income securities (collectively, the "GMO Fixed Income Funds"), GMO Alpha Only Fund, and GMO Alternative Asset Opportunity Fund (the GMO Funds in which the Fund invests are collectively referred to herein as the "underlying Funds"). The Fund also may invest in securities and derivatives directly.<br/><br/> Although the Fund's primary exposure is to non-U.S. and U.S. equity investments (which may include emerging country equities, both growth and value style equities and equities of any market capitalization), the Fund also may have exposure to non-U.S. and U.S. fixed income securities (including fixed income securities of any credit quality and having any maturity or duration), commodities and, from time to time, other alternative asset classes. Under normal circumstances, the Fund invests (including through investment in the underlying Funds) at least 80% of its assets in equity investments. The term "equity investments" refers to direct and indirect (e.g., through the underlying Funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts ("REITs") and income trusts.<br/><br/> The Manager uses multi-year forecasts of returns and risk among asset classes (e.g., U.S. equity, non-U.S. equity, emerging country equity, emerging country debt, non-U.S. fixed income, U.S. fixed income and commodities) to select the underlying Funds in which the Fund invests and to decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager changes the Fund's holdings of the underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund's investments. The factors considered and investment methods used by the Manager can change over time.<br/><br/> The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds.<br/><br/> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.The value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund's investments in the underlying Funds. Because the Fund invests substantially all of its assets in GEAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through GEAF, which include those outlined in the following brief summary of principal risks. Some of the underlying Funds of GEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies. In addition to the risks to which the Fund is exposed through its investment in GEAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of GEAF. <ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager's overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in GEAF and the underlying Funds in which it invests, including the risk that GEAF and those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of GEAF and the underlying Funds in which it invests, a reallocation of GEAF's investments to underlying Funds with higher fees or expenses will increase the Fund's total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee.</li></ul> <ul type="square"><li> Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul> <ul type="square"><li> Options Risk &#8211; The market price of options written by an underlying Fund will be affected by many factors, including changes in the market price or dividend rates of underlying securities (or in the case of indices, the securities comprising such indices); changes in interest rates or exchange rates; changes in the actual or perceived volatility of the relevant stock market and underlying securities; and the time remaining before an option's expiration.</li></ul> <ul type="square"><li> Natural Resources Risk &#8211; To the extent an underlying Fund concentrates its assets in the natural resources sector, the value of its portfolio is subject to factors affecting the natural resources industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul> <ul type="square"><li> Commodities Risk &#8211; Commodities prices can be extremely volatile and exposure to commodities can cause the net asset value of the Fund's shares to decline and fluctuate in a rapid and unpredictable manner.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies. In addition, hedging a non-U.S. currency can have a negative effect on performance if the U.S. dollar declines in value relative to that currency.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund's losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund's securities will be unable or unwilling to make timely settlement payments, return the Fund's margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Real Estate Risk &#8211; To the extent an underlying Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund's investments.</li></ul> <ul type="square"><li> Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund's loss on a short sale of securities that the underlying Fund does not own is unlimited.</li></ul> <ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market's uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul> <ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security.</li></ul> <ul type="square"><li> Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer's, guarantor's, or obligor's failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund's investments were less correlated.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund's operations.</li></ul><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGlobalAssetAllocationSeriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualFundOperatingExpensesU.S.EquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleTransposedU.S.EquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAverageAnnualTotalReturnsTransposedU.S.EquityAllocationSeriesFund column period compact * ~</div><div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGlobalAssetAllocationSeriesFundBarChart column period compact * ~</div>
<b>GMO U.S. EQUITY ALLOCATION SERIES FUND</b><b>Investment objective </b>Total return greater than that of its benchmark, the Russell 3000 Index.<b>Fees and expenses </b>The table below describes the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)<b>GMO INTERNATIONAL BOND SERIES FUND</b><b>Example </b>The Fund invests substantially all of its assets in GMO International Bond Fund (&#8220;International Bond Fund&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of International Bond Fund. References to the Fund may refer to actions undertaken by the Fund or International Bond Fund. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to International Bond Fund. <br /><br /> The Fund&#8217;s investment program has two principal components. One component seeks to replicate the Fund&#8217;s benchmark. The second component seeks to add value relative to the Fund&#8217;s benchmark by taking positions that are not necessarily related to its benchmark. These positions primarily include global interest rate and currency derivatives and indirect (through other funds managed by GMO (&#8220;GMO Funds&#8221;)) and direct credit investments in asset-backed, government and emerging country debt markets, and can cause the Fund&#8217;s performance to differ significantly from that of its benchmark. The Fund will typically have substantial direct and indirect investment exposure to the countries (e.g., Japan) and regions (e.g., Eurozone) that represent a significant portion of the Fund&#8217;s benchmark.<br/><br/> In deciding what positions to take in global interest rate and currency markets and the size of those positions, the Manager considers fundamental factors (e.g., inflation and current account positions) as well as price-based factors (e.g., interest and exchange rates). The Manager assesses the relative values across global interest rate and currency markets and the merits of overweighting or underweighting particular positions. The Manager also may consider the relative attractiveness of yield curve and duration positions in these markets. <br /><br /> In making decisions regarding credit investments, the Manager uses fundamental investment techniques to assess the expected performance of each investment relative to the Fund&#8217;s benchmark. <br /><br /> The factors considered and investment methods used by the Manager can change over time. <br /><br /> In pursuing its investment program, the Fund may have positions in: <br /><br /> <ul type="square"><li> derivatives, including without limitation, futures contracts, currency options, interest rate options, currency forwards, reverse repurchase agreements, credit default swaps, and other swap contracts (to generate a return comparable to the Fund&#8217;s benchmark and to pursue risk and return in global interest rate, currency, and credit markets);</li></ul> <ul type="square"><li> non-U.S. bonds and other bonds denominated in various currencies, including non-U.S. and U.S. government bonds, asset-backed securities issued by non-U.S. governments and U.S. government agencies (whether or not guaranteed or insured by those governments), corporate bonds, and mortgage-backed and other asset-backed securities issued by private issuers;</li></ul> <ul type="square"><li> shares of GMO Short-Duration Collateral Fund (&#8220;SDCF&#8221;) (to provide exposure to asset-backed securities);</li></ul><ul type="square"><li> shares of GMO World Opportunity Overlay Fund (&#8220;Overlay Fund&#8221;) (to provide exposure to the global interest rate, currency, and credit (including, asset-backed) markets);</li></ul> <ul type="square"><li> shares of GMO Emerging Country Debt Fund (&#8220;ECDF&#8221;) (to provide exposure to emerging country debt securities);</li></ul> <ul type="square"><li> shares of GMO U.S. Treasury Fund and unaffiliated money market funds;</li></ul> <ul type="square"><li> shares of GMO High Quality Short-Duration Bond Fund (to seek to generate a return in excess of that of the J.P. Morgan U.S. 3 Month Cash Index by investing in a wide variety of high quality U.S. and non-U.S. debt investments); and</li></ul> <ul type="square"><li> shares of GMO Debt Opportunities Fund (to provide exposure to global credit (particularly, asset-backed) markets).</li></ul> As a result primarily of its investment in shares of SDCF, Overlay Fund, and ECDF, the Fund has and is expected to continue to have material exposure to U.S. asset-backed and emerging country debt securities that are below investment grade. <br /><br /> The Manager normally seeks to maintain the Fund&#8217;s estimated interest rate duration within +/- 2 years of the benchmark&#8217;s duration (approximately 7.4 years as of 5/31/13). <br /><br /> Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% of its assets in bonds. The term &#8220;bond&#8221; includes (i) obligations of an issuer to make payments of principal and/or interest (whether fixed or variable) on future dates and (ii) synthetic debt instruments created by the Manager by using derivatives (e.g., a futures contract, swap contract, currency forward, or option). <br /><br /> The Fund is not limited in its use of derivatives or in the absolute face value of its derivative positions. As a result of its derivative positions, the Fund will typically have gross investment exposures in excess of its net assets (i.e., the Fund will be leveraged) and therefore is subject to heightened risk of loss. The Fund&#8217;s performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated, regardless of whether or not you redeem your shares at the end of such periods. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both USEAF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in International Bond Fund, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through International Bond Fund, which include those outlined in the following brief summary of principal risks. International Bond Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by International Bond Fund may affect International Bond Fund&#8217;s performance more than if International Bond Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in International Bond Fund, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of International Bond Fund. <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul> <ul type="square"><li> Market Risk &#8211; Fixed Income Investments &#8211; The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity stemming from the market&#8217;s uncertainty about the value of a fixed income investment (or class of fixed income investments).</li></ul> <ul type="square"><li> Market Risk &#8211; Asset-Backed Securities &#8211; The market price of fixed income investments with complex structures, such as asset-backed securities, can decline due to a number of factors, including market uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, the deal structure, the credit worthiness of any credit-support provider, and the reliability of various other service providers with access to the payment stream), and a problem in any one of these areas can lead to a reduction in the payment stream the Manager expected the Fund to receive at the time the Fund purchased the asset-backed security. </li></ul> <ul type="square"><li>Credit Risk &#8211; The Fund runs the risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. The market price of a fixed income investment will normally decline as a result of the issuer&#8217;s, guarantor&#8217;s, or obligor&#8217;s failure to meet its payment obligations. Below investment grade securities have speculative characteristics, and changes in economic conditions or other circumstances are more likely to impair the capacity of issuers to make principal and interest payments than is the case with issuers of investment grade securities.</li></ul> <ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul> <ul type="square"><li> Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, credit risk, and counterparty risk.</li></ul> <ul type="square"><li> Leveraging Risk &#8211; The use of reverse repurchase agreements and other derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul> <ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul> <ul type="square"><li> Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another, such as the Fund&#8217;s investments in non-U.S. government bonds and asset-backed securities secured by different types of consumer debt (e.g., credit-card receivables, automobile loans, and home equity loans), creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul> <ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul> <ul type="square"><li> Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in International Bond Fund and the underlying funds in which it invests, including the risk that International Bond Fund and those underlying funds will not perform as expected.</li></ul> <ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul> <ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul><b>Performance</b><b>Portfolio turnover </b><b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 31The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.Highest Quarter: 12.24% (3Q2009)<br/>Lowest Quarter: &#8211; 12.30% (4Q2008)<br/>Year-to-Date (as of 6/30/13): &#8211; 4.31%<b>Principal investment strategies </b><b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.International Bond Fund is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by International Bond Fund may affect International Bond Fund&#8217;s performance more than if International Bond Fund were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Past performance (before and after taxes) is not an indication of future performance.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Year-to-Date2013-06-30The Fund invests substantially all of its assets in GMO U.S. Equity Allocation Fund (&#8220;USEAF&#8221;), which invests primarily in shares of other funds managed by GMO (&#8220;GMO Funds&#8221;). The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of USEAF. References to the Fund may refer to actions undertaken by the Fund or USEAF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to USEAF. <br /><br />The Fund is a fund of funds and invests primarily in shares of GMO Funds that invest in U.S. equity securities (collectively, the &#8220;GMO U.S. Equity Funds&#8221;) and GMO U.S. Flexible Equities Fund. The GMO Funds in which the Fund invests are collectively referred to herein as the &#8220;underlying Funds.&#8221; The Fund also may invest in securities and derivatives directly. <br /><br />The Fund primarily seeks exposure to U.S. equity investments (which may include both growth and value style equities and equities of any market capitalization) but also may have exposure to non-U.S. equity investments. Under normal circumstances, the Fund invests (including through investment in the underlying Funds) at least 80% of its assets in equity investments tied economically to the U.S. The term &#8220;equity investments&#8221; refers to direct and indirect (e.g., through the underlying Funds) investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts.<br/><br/> The Manager uses multi-year forecasts of returns and risk among major sectors in the U.S. equity market (large-cap value, large-cap growth, large-cap core, small- and mid-cap value, small- and mid-cap growth and real estate/REIT) to select the underlying Funds in which the Fund invests, and to decide how much to invest in each. An important component of those forecasts is the expectation that valuation reversion ultimately drives market returns. The Manager changes the Fund&#8217;s holdings of underlying Funds in response to changes in its investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund&#8217;s investments. The factors considered and investment methods used by the Manager can change over time. <br /><br />The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds. <br /><br />The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.-0.0431Highest Quarter:2009-09-300.1224Lowest Quarter:2008-12-31-0.123<b>Principal risks of investing in the Fund </b>August 31, 2014-0.0116The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.0.00250.00250.0025Many factors can affect this value, and you may lose money by investing in the Fund.The Fund invests substantially all of its assets in GMO Benchmark-Free Allocation Fund (&#8220;BFAF&#8221;), which invests primarily in shares of other funds managed by GMO (&#8220;GMO Funds&#8221;). The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of BFAF. References to the Fund may refer to actions undertaken by the Fund or BFAF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to BFAF. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing in asset classes (e.g., non-U.S. equity, U.S. equity, emerging country equity, emerging country debt, non-U.S. fixed income, U.S. fixed income, real estate, and commodities) that the Manager believes offer the most attractive return and risk opportunities. The Manager uses multi-year forecasts of returns and risk for asset classes to determine the Fund&#8217;s allocations. The factors considered and investment methods used by the Manager can change over time. <br/><br/> The Fund is structured as a fund of funds and gains its investment exposures primarily by investing in GMO Implementation Fund (&#8220;Implementation Fund&#8221;). In addition, the Fund may invest in other GMO Funds (together with Implementation Fund, the &#8220;underlying Funds&#8221;), principally GMO Alpha Only Fund, GMO Debt Opportunities Fund, GMO Alternative Asset Opportunity Fund, and GMO Emerging Country Debt Fund. Implementation Fund is permitted to invest in any asset class. The Fund also may invest in securities or derivatives directly. <br /><br /> The Fund seeks annualized excess returns of 5% (net of fees) above the Consumer Price Index, with annualized volatility of 5-10%, over a complete market cycle. The Manager does not manage the Fund to, or control the Fund&#8217;s risk relative to, any securities index or securities benchmark. <br /><br /> The Fund is permitted to invest (through Implementation Fund, another underlying Fund or directly) in any asset class, country, or sector and at times may have substantial exposure to a single asset class, country, or sector. In addition, the Fund is not restricted in its exposure to any particular market and may invest in securities of companies of any market capitalization. The Fund may have indirect exposure to derivatives and short sales through its investment in Implementation Fund and the other underlying Funds. The Manager&#8217;s ability to shift investments within Implementation Fund and between it and the other underlying Funds is not subject to any limits. <br /><br /> Prior to January 1, 2012, BFAF served as a principal component of a broader GMO real return strategy that also included a pooled investment vehicle with a cash-like benchmark. Beginning on January 1, 2012, BFAF has been managed as a standalone investment. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another GMO Fund, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.0.002500.001Some of the underlying Funds of IOEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies.0.00230.00230.0023<b>GMO DEVELOPED WORLD STOCK SERIES FUND</b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.<b>Investment objective </b>High total return.0.00020.00020.0002<b>Fees and expenses </b>The tables below describe the fees and expenses that you may pay for each class of shares if you buy and hold shares of the Fund.0.00750.0050.006<b>Shareholder fees</b>Past performance (before and after taxes) is not an indication of future performance.<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)-0.0001-0.0001-0.0001<b>Portfolio turnover </b>0.00740.00590.0049The Fund pays transaction costs when it buys and sells securities. A higher portfolio turnover rate may result in higher transaction costs and, when Fund shares are held in a taxable account, higher taxes. These costs, which are not reflected in Annual Fund operating expenses or in the Example, affect the Fund&#8217;s performance. Because the Fund had not commenced operations as of the fiscal year ended April 30, 2013, the Fund&#8217;s portfolio turnover rate is not available.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.<b>Example </b>This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated. The example also assumes that your investment has a 5% return each year and that the Fund&#8217;s operating expenses remain the same as those shown in the table. The one year amounts shown reflect expense reimbursements and all amounts shown include the expenses of both DWSF and the Fund. Although your actual costs may be higher or lower, based on these assumptions your costs would be:Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).<b>If you sell your shares</b>After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.<b>If you do not sell your shares</b><b>Principal investment strategies </b>The Fund invests substantially all of its assets in GMO Developed World Stock Fund (&#8220;DWSF&#8221;), which invests directly in securities and other instruments. The Fund&#8217;s investment objective and principal investment strategies, therefore, are substantially similar to those of DWSF. References to the Fund may refer to actions undertaken by the Fund or DWSF. The Fund&#8217;s investment adviser, GMO, is also the investment adviser to DWSF. <br /><br /> The Manager seeks to achieve the Fund&#8217;s investment objective by investing the Fund&#8217;s portfolio primarily in stocks that the Manager believes will provide a higher return than the MSCI World Index. The Manager determines which stocks the Fund should buy or sell based on its evaluation of companies&#8217; published financial information and corporate behavior, securities&#8217; prices, equity and bond markets, and the overall economy. <br /><br /> In selecting stocks for the Fund, the Manager uses a combination of investment methods to identify stocks that the Manager believes have positive return potential relative to other stocks in the Fund&#8217;s investment universe. Some of these methods evaluate individual stocks or groups of stocks based on the ratio of their price to historical financial information and forecasted financial information, such as book value, cash flow and earnings, and a comparison of these ratios to industry or market averages or to their own history. Other methods focus on patterns of information, such as price movement or volatility of a stock or groups of stocks relative to the Fund&#8217;s investment universe or corporate behavior of an issuer. The Manager also adjusts the Fund&#8217;s portfolio for factors such as position size, market capitalization, and exposure to factors such as industry, sector, country, or currency. The factors considered and investment methods used by the Manager can change over time. <br /><br /> As a substitute for direct investments in stocks, the Fund may use exchange-traded and over-the-counter (&#8220;OTC&#8221;) derivatives and exchange-traded funds (&#8220;ETFs&#8221;). The Fund also may use derivatives and ETFs: (i) in an attempt to reduce investment exposures (which may result in a reduction below zero); (ii) in an attempt to adjust elements of the Fund&#8217;s investment exposure; and (iii) as a substitute for securities lending. Derivatives used may include futures, options, forward currency contracts and swap contracts. In addition, the Fund may lend its portfolio securities. <br /><br /> Under normal circumstances, the Fund invests directly and indirectly (e.g., through underlying funds or derivatives) at least 80% of its assets in stocks tied economically to developed markets. For this purpose, the term &#8220;stocks&#8221; refers to investments in common stocks and other stock-related securities, such as preferred stocks, convertible securities, depositary receipts, and exchange-traded equity real estate investment trusts (&#8220;REITs&#8221;) and income trusts, and the term &#8220;developed markets&#8221; refers to those countries included in the MSCI World Index, a global developed markets equity index, and countries with similar characteristics (e.g., countries that have sustained economic development, sufficient liquidity for listed companies and accessible markets). The Manager may make investments tied economically to emerging countries. <br /><br /> The Fund also may invest in GMO U.S. Treasury Fund, another fund managed by GMO, and unaffiliated money market funds. <br /><br /> The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions.<b>Principal risks of investing in the Fund </b>The value of the Fund&#8217;s shares changes with the value of the Fund&#8217;s investments. Many factors can affect this value, and you may lose money by investing in the Fund. Because the Fund invests substantially all of its assets in DWSF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through DWSF, which include those outlined in the following brief summary of principal risks. DWSF is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by DWSF may affect DWSF&#8217;s performance more than if DWSF were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in DWSF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of DWSF.<ul type="square"><li> Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If the Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager&#8217;s overestimation of the value of those investments. The Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund&#8217;s shares.</li></ul><ul type="square"><li> Management and Operational Risk &#8211; The Fund runs the risk that GMO&#8217;s investment techniques will fail to produce desired results. The Fund&#8217;s portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund&#8217;s strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO&#8217;s assessment of an investment may be wrong or that deficiencies in GMO&#8217;s or another service provider&#8217;s internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li> Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund&#8217;s investments. These and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers) tend to be greater for investments in companies tied economically to emerging countries, the economies of which tend to be more volatile than the economies of developed countries.</li></ul> <ul type="square"><li> Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of the Fund&#8217;s non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li> Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund&#8217;s securities will be unable or unwilling to make timely settlement payments, return the Fund&#8217;s margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund&#8217;s losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund&#8217;s investments were less correlated.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund&#8217;s investments.</li></ul><ul type="square"><li> Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor, financial intermediary, or another fund managed by GMO) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will disrupt the Fund&#8217;s operations.</li></ul> <ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in DWSF, including the risk that DWSF will not perform as expected.</li></ul><b>Performance </b>The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of DWSF (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. Purchase premiums and redemption fees are not reflected in the bar chart and, if these amounts were reflected, returns would be less than those shown. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.<b>Annual Total Returns/</b>Class R4 Shares<br/>Years Ending December 31Highest Quarter: 18.28% (2Q2009)<br/>Lowest Quarter: &#8211; 19.99% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 8.95<b>Average Annual Total Returns </b><br/>Periods Ending December 31, 2012Highest Quarter:2009-06-300.1945Lowest Quarter:August 31, 20142008-09-30-0.1887The amounts represent an annualized estimate of the Fund&#8217;s operating expenses for its initial fiscal year.Year-to-Date2013-06-300.039Many factors can affect this value, and you may lose money by investing in the Fund.The value of the Fund's shares changes with the value of the Fund's investments. Many factors can affect this value, and you may lose money by investing in the Fund. References to investments include those held directly by the Fund and indirectly through the Fund's investments in the underlying Funds. Because the Fund invests substantially all of its assets in USEAF, the most significant risks of investing in the Fund are the risks to which the Fund is exposed through USEAF, which include those outlined in the following brief summary of principal risks. USEAF and some of the underlying Funds are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by USEAF or those underlying Funds may affect USEAF's or an underlying Fund's performance more than if USEAF or the underlying Fund were a diversified investment company. In addition to the risks to which the Fund is exposed through its investment in USEAF, the Fund is subject to the risk that cash flows into or out of the Fund will cause its performance to be worse than the performance of USEAF.<ul type="square"><li>Market Risk &#8211; Equities &#8211; The market prices of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. If an underlying Fund purchases equities at a discount from their value as determined by the Manager, the Fund runs the risk that the market prices of these investments will not appreciate or will decline for a variety of reasons, one of which may be the Manager's overestimation of the value of those investments. An underlying Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these investments often are more sensitive to changes in future earnings expectations than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.</li></ul><ul type="square"><li>Management and Operational Risk &#8211; The Fund runs the risk that GMO's investment techniques will fail to produce desired results. The Fund's portfolio managers may use quantitative analyses and models, and any imperfections, errors, or limitations in those analyses and models could affect the ability of the portfolio managers to implement the Fund's strategies. By necessity, these analyses and models make simplifying assumptions that limit their efficacy. Models that appear to explain prior market data can fail to predict future market events. Further, the data used in models may be inaccurate and may not include the most recent information about a company or a security. The Fund also runs the risk that GMO's assessment of an investment may be wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.</li></ul><ul type="square"><li>Smaller Company Risk &#8211; Smaller companies may have limited product lines, markets, or financial resources, may lack the competitive strength of larger companies, or may lack managers with experience or depend on a few key employees. The securities of small- and mid-cap companies often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.</li></ul><ul type="square"><li>Fund of Funds Risk &#8211; The Fund is indirectly exposed to all of the risks of an investment in USEAF and the underlying Funds in which it invests, including the risk that USEAF and those underlying Funds will not perform as expected. Because the Fund bears the fees and expenses of USEAF and the underlying Funds in which it invests, a reallocation of USEAF's investments to underlying Funds with higher fees or expenses will increase the Fund's total expenses. The fees and expenses associated with an investment in the Fund are less predictable than those associated with an investment in funds that charge a fixed management fee.</li></ul><ul type="square"><li>Non-U.S. Investment Risk &#8211; The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than in U.S. markets. Non-U.S. portfolio transactions generally involve higher commission rates, transfer taxes, and custodial costs than similar transactions in the U.S. In addition, the Fund may be subject to non-U.S. taxes, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends or interest it receives on non-U.S. investments, (ii) transactions in those investments, and (iii) the repatriation of proceeds generated from the sale of those investments. Also, many non-U.S. markets require a license for the Fund to invest directly in those markets, and the Fund is subject to the risk that it could not invest if its license were terminated or suspended. In some non-U.S. markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose the Fund to credit and other risks with respect to participating brokers, custodians, clearing banks or other clearing agents, escrow agents and issuers. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments.</li></ul><ul type="square"><li>Currency Risk &#8211; Fluctuations in exchange rates can adversely affect the market value of non-U.S. currency holdings and investments denominated in non-U.S. currencies.</li></ul><ul type="square"><li>Liquidity Risk &#8211; Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund or an underlying Fund from selling particular securities or unwinding derivative positions at desirable prices.</li></ul><ul type="square"><li>Derivatives Risk &#8211; The use of derivatives involves the risk that their value may not move as expected relative to the value of the underlying assets, rates, or indices. Derivatives also present other risks, including market risk, liquidity risk, currency risk, and counterparty risk.</li></ul><ul type="square"><li>Counterparty Risk &#8211; The Fund runs the risk that the counterparty to a derivatives contract, a clearing member used by the Fund to hold a cleared derivatives contract, or a borrower of the Fund's securities will be unable or unwilling to make timely settlement payments, return the Fund's margin or otherwise honor its obligations.</li></ul><ul type="square"><li>Real Estate Risk &#8211; To the extent an underlying Fund concentrates its assets in real estate-related investments, the value of its portfolio is subject to factors affecting the real estate industry and may fluctuate more than the value of a portfolio that consists of securities of companies in a broader range of industries.</li></ul><ul type="square"><li>Market Disruption and Geopolitical Risk &#8211; Geopolitical and other events may disrupt securities markets and adversely affect global economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could adversely affect the value of the Fund's investments.</li></ul><ul type="square"><li>Short Sales Risk &#8211; The Fund runs the risk that an underlying Fund's loss on a short sale of securities that the underlying Fund does not own is unlimited.</li></ul><ul type="square"><li>Leveraging Risk &#8211; The use of derivatives and securities lending creates leverage. Leverage increases the Fund's losses when the value of its investments (including derivatives) declines.</li></ul><ul type="square"><li>Focused Investment Risk &#8211; Focusing investments in countries, regions, sectors, companies, or industries with high positive correlations to one another creates more risk than if the Fund's investments were less correlated.</li></ul><ul type="square"><li>Large Shareholder Risk &#8211; To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or financial intermediary), the Fund is subject to the risk that a redemption by that shareholder of all or a large portion of its Fund shares will disrupt the Fund's operations.</li></ul>DWSF is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market value of a particular security held by DWSF may affect DWSF's performance more than if DWSF were a diversified investment company.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of a broad-based index.Purchase premiums and redemption fees are not reflected in the bar chart and, if these amounts were reflected, returns would be less than those shown.Past performance (before and after taxes) is not an indication of future performance.<b>Performance</b>0.1293The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager. As of the date of this Prospectus, the Fund had not commenced operations. Returns shown are those of USEAF (Class III shares), adjusted to reflect the gross expenses (on a percentage basis) that are expected to be borne by shareholders of each class of shares of the Fund, as reflected in the Annual Fund operating expenses table. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account). After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary. Past performance (before and after taxes) is not an indication of future performance.-0.381Highest Quarter: 17.97% (2Q2003)<br/>Lowest Quarter: &#8211; 15.00% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 14.20%0.1941<b>Annual Total Returns</b>/Class R4 Shares<br/>Years Ending December 310.1052<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 2012-0.09710.1677Year-to-date2013-06-300.0895Highest Quarter2009-06-300.1828Lowest Quarter2008-12-31-0.1999August 31, 2014The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year.Many factors can affect this value, and you may lose money by investing in the Fund.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund's annual total returns from year to year for the periods indicated and by comparing the Fund's average annual total returns for different calendar periods with those of the Fund's benchmark (which is a broad-based index) and a composite index computed by the Manager.766050Past performance (before and after taxes) is not an indication of future performance.305258227The effect of purchase premiums and redemption fees paid by the Fund to IEAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Year-to-Date-0.0295-0.0378-0.0261-0.028-0.027-0.0369<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedDevelopedWorldStockSeriesFund column period compact * ~</div>
2013-06-300.1422006-06-052006-06-052006-06-052006-06-052006-06-052006-06-05Highest Quarter:2003-06-300.1797<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsDevelopedWorldStockSeriesFundBarChart column period compact * ~</div>
Lowest Quarter:2008-12-31-0.157660503052582270000.00250.00100.00060.00060.00060.00380.00380.00380.00690.00540.0044-0.0001-0.0001-0.00010.00680.00530.00430.25820.1417-0.08560.07770.0305-0.16040.19430.13670.06120.0642-0.0063-0.0116-0.01280.06420.05520.04140.06570.06680.00850.05180.02220.0160.05330.05440.05720.0650.03170.03560.06660.06770.0660.06690.03690.03910.06850.06960.0608<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)-0.0197-0.0249-0.0178-0.0183-0.0173-0.01189378673052582266954441993-12-221993-12-221993-12-221993-12-221993-12-221993-12-22248200169After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.1996-11-261996-11-261996-11-261996-11-261996-11-261996-11-261996-11-26<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGMOInternationalOpportunitiesEquityAllocationSeriesFund column period compact * ~</div>
695444<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedInternationalBondSeriesFund column period compact * ~</div>
248200169<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGMOInternationalOpportunitiesEquityAllocationSeriesFundBarChart column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsInternationalBondSeriesFundBarChart column period compact * ~</div>
0.31360.1120.02890.1001<b>Annual Total Returns</b>/Class R4 Shares<br />Years Ending December 310.019-0.27570.2013<b>Average Annual Total Returns</b><br/>Periods Ending December 31, 20120.07360.0960.1201937867Highest Quarter: 18.70% (2Q2003)<br/>Lowest Quarter: &#8211; 15.71% (4Q2008)<br/>Year-to-Date (as of 6/30/13): 5.46%00.001100.001100.00110-0.00110-0.00110-0.00110.12010.11540.08320.12180.1230.16420.16420.02780.02360.02280.02930.03040.02040.02040.06810.05930.05750.06970.07080.07680.0768<b>Annual Fund operating expenses</b><br/>(expenses that you pay each year as a percentage of the value of your investment)0.09740.06740.06840.09910.10020.08310.0851August 31, 2014Many factors can affect this value, and you may lose money by investing in the Fund.Some of the underlying Funds of GEAF are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by those underlying Funds may affect their performance more than if they were diversified investment companies.The bar chart and table below provide some indication of the risks of investing in the Fund by showing changes in the Fund&#8217;s annual total returns from year to year for the periods indicated and by comparing the Fund&#8217;s average annual total returns for different calendar periods with those of the Fund&#8217;s benchmark (which is a broad-based index) and a composite index computed by the Manager.Past performance (before and after taxes) is not an indication of future performance.1992-12-311992-12-311992-12-31The effect of purchase premiums and redemption fees paid by the Fund to GEAF are not reflected in the bar chart or table below for portions of the periods prior to the date on which the Fund commenced operations. If the effect of these payments were reflected, returns for periods prior to the date on which the Fund commenced operations would be less than those shown.After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes.Actual after-tax returns depend on your tax situation and may differ from those shown. After-tax returns shown are not relevant if you are tax-exempt or if you hold your Fund shares through tax-deferred arrangements (such as a 401(k) plan or individual retirement account).After-tax returns are shown for Class R4 shares only; after-tax returns for other classes will vary.Year-to-Date2013-06-300.0546Highest Quarter:<div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedGlobalEquityAllocationSeriesFund column period compact * ~</div>
2003-06-300.187Lowest Quarter:<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsGlobalEquityAllocationSeriesFundBarChart column period compact * ~</div>
2008-12-31-0.1571<b>GMO GLOBAL EQUITY ALLOCATION SERIES FUND</b><div style="display:none">~ http://www.gmo.com/role/ScheduleExpenseExampleNoRedemptionTransposedU.S.EquityAllocationSeriesFund column period compact * ~</div>
<div style="display:none">~ http://www.gmo.com/role/ScheduleAnnualTotalReturnsU.S.EquityAllocationSeriesFundBarChart column period compact * ~</div>
0.3780.15930.10980.16210.0923-0.3330.24110.09641992-12-311992-12-311992-12-311992-12-31-0.02260.14050.46USEAF and some of the underlying Funds are non-diversified investment companies under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by USEAF or those underlying Funds may affect USEAF&#8217;s or an underlying Fund&#8217;s performance more than if USEAF or the underlying Fund were a diversified investment company.ECDF is a non-diversified investment company under the Investment Company Act of 1940, as amended, and therefore a decline in the market price of a particular security held by ECDF may affect ECDF&#8217;s performance more than if ECDF were a diversified investment company.Purchase premiums and redemption fees are not reflected in the bar chart and, if these amounts were reflected, returns would be less than those shown.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO U.S. Core Equity Fund ("USCEF"), the underlying fund in which the Fund invests. The amount reflects the management fee paid by USCEF. The Fund does not charge a management fee, but indirectly bears the management fee paid by USCEF. Distribution and service (12b-1) fees are paid to financial intermediaries for providing sub-transfer agency, recordkeeping, and other administrative services. "Other expenses" include administration fees of 0.05%. Grantham, Mayo, Van Otterloo & Co. LLC (the "Manager" or "GMO") has contractually agreed to reimburse the Fund for state registration fees to the extent that they are borne by the Fund. These reimbursements will continue through at least August 31, 2014, and may not be terminated prior to this date without the action or consent of the Fund's Board of Trustees.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO U.S. Intrinsic Value Fund ("Intrinsic Value Fund"), the underlying fund in which the Fund invests.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO Foreign Fund ("Foreign Fund"), the underlying fund in which the Fund invests. The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the estimated expenses of both the Fund and GMO International Large/Mid Cap Value Fund ("ILMCVF"), the underlying fund in which the Fund invests.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO International Growth Equity Fund ("IGEF"), the underlying fund in which the Fund invests.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO Emerging Countries Fund ("Emerging Countries Fund"), the underlying fund in which the Fund invests. The information in this table and in the Example below reflects the expenses of both the Fund and GAAF.The information in this table and in the Example below reflects the expenses of both the Fund and GEAF.The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO International Bond Fund ("International Bond Fund"), the underlying fund in which the Fund invests. After reimbursementThe amount reflects the management fee paid by Intrinsic Value Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Intrinsic Value Fund.Inception date for Intrinsic Value Fund's predecessor fund (Class III shares).Inception date for USCEF's predecessor fund (Class III shares).The amounts represent an annualized estimate of the Fund’s operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO International Core Equity Fund (“ICEF”), the underlying fund in which the Fund invests. The amount reflects the management fee paid by ICEF. The Fund does not charge a management fee, but indirectly bears the management fee paid by ICEF. Distribution and service (12b-1) fees are paid to financial intermediaries for providing sub-transfer agency, recordkeeping, and other administrative services. “Other expenses” include administration fees of 0.05%. Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”) has contractually agreed to reimburse the Fund for state registration fees to the extent that they are borne by the Fund. These reimbursements will continue through at least August 31, 2014, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.Inception date for ICEF's predecessor fund (Class III shares).The amounts represent an annualized estimate of the Fund’s operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO U.S. Growth Fund (“Growth Fund”), the underlying fund in which the Fund invests. The amount reflects the management fee paid by Growth Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Growth Fund. Distribution and service (12b-1) fees are paid to financial intermediaries for providing sub-transfer agency, recordkeeping, and other administrative services. “Other expenses” include administration fees of 0.05%. Grantham, Mayo, Van Otterloo & Co. LLC (the “Manager” or “GMO”) has contractually agreed to reimburse the Fund for state registration fees to the extent that they are borne by the Fund. These reimbursements will continue through at least August 31, 2014, and may not be terminated prior to this date without the action or consent of the Fund’s Board of Trustees.Inception date for Growth Fund’s predecessor fund (Class III shares).The amount reflects the management fee paid by ILMCVF. The Fund does not charge a management fee, but indirectly bears the management fee paid by ILMCVF.Information on Foreign Fund's return after taxes is unavailable prior to June 28, 1996, the date Foreign Fund commenced operations as a registered investment company. Prior to that date, Foreign Fund operated as a private investment pool with investment objectives, policies, and guidelines that were substantially the same as those of Foreign Fund. Performance of Class III shares prior to June 28, 1996 is that of the private investment pool and reflects the pool's higher annual operating expenses. The pool was not registered as an investment company and therefore was not subject to restrictions imposed on Foreign Fund by the Investment Company Act of 1940, as amended, and the Internal Revenue Code of 1986, as amended. Had the pool been subject to these restrictions, its performance may have been adversely affected. Inception date for Foreign Fund's predecessor fund (Class III shares).The amount reflects the management fee paid by Foreign Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Foreign Fund. The amount reflects the management fee paid by IGEF. The Fund does not charge a management fee, but indirectly bears the management fee paid by IGEF.The amount reflects the management fee paid by Emerging Countries Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Emerging Countries Fund. These indirect expenses include commissions paid to broker-dealers by the Emerging Countries Fund for executing transactions in unaffiliated underlying funds ("transaction fees"). Net fees and expenses of underlying funds (before addition of transaction fees) and indirect transaction fees were less than 0.01% and 0.01%, respectively. Inception date for IGEF's predecessor fund (Class III shares).Inception date for Emerging Countries Fund (Class III shares).The amounts represent an annualized estimate of the Fund's operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO Quality Fund ("Quality Fund"), the underlying fund in which the Fund invests.The amount reflects the management fee paid by Quality Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Quality Fund. Distribution and service (12b-1) fees are paid to financial intermediaries for providing sub-transfer agency, recordkeeping, and other administrative services. "Other expenses" include administration fees of 0.05%. Grantham, Mayo, Van Otterloo & Co. LLC (the "Manager" or "GMO") has contractually agreed to reimburse the Fund for state registration fees to the extent that they are borne by the Fund. These reimbursements will continue through at least August 31, 2014, and may not be terminated prior to this date without the action or consent of the Fund's Board of Trustees.The amount reflects the management fee paid by Core Plus Bond Fund. The Fund does not charge a management fee, but indirectly bears the management fee paid by Core Plus Bond Fund. The amounts represent an annualized estimate of the Fund’s operating expenses for its initial fiscal year. The information in this table and in the Example below reflects the expenses of both the Fund and GMO Core Plus Bond Fund (“Core Plus Bond Fund”), the underlying fund in which the Fund invests.